Testing the Evidence on Weak Form EMH at Pakistan Stock Market

Abstract

Market efficiency has been a hot pursuit of researchers in the area of financial markets. In both developed and developing countries inquiries have been made to test the existence of the three forms of market efficiency. Moreover, the results are different for developing countries as compared to developed countries. For example, in developed countries markers have been consistently found to exhibit weak form of efficiency, however, they have only occasionally been found to exhibit semi-strong form of efficiency, and have hardly been found to exhibit strong form of efficiency. The case of developing is difference as they have only occasionally been found to exhibit Market efficiency weak-form of efficiency only. This study has, therefore, been conducted to test the existence of weak-form of efficiency in Pakistan stock market. For that purpose, statistical tests such as runs, test, auto-correlation test, and the Box-Ljung Statistics were employed. It was found that none of the tests confirmed the existence of weak-form of efficiency in Pakistan stock market.